Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 17, issue 12, 2017

An empirical method of calculating the term premium pp. 1783-1793

Jessica James, Michael Leister and Christoph Rieger

Financial Enterprise Risk Management pp. 1795-1797

Riccardo Rebonato

Calendar pp. 1799-1799

The Editors

Applications sought for book review editor from 2018 pp. 1800-1800

The Editors

Special Issue of on ‘Systemic risk analytics’ pp. 1803-1804

Peter Sarlin and Tuomas Peltonen

Can bank-specific variables predict contagion effects? pp. 1805-1832

Christoph Siebenbrunner, Michael Sigmund and Stefan Kerbl

Financial networks and interconnectedness in an advanced emerging market economy pp. 1833-1858

Ariel J. Sun and Jorge Chan-Lau

Monitoring systemic risk in the hedge fund sector pp. 1859-1883

Frank Hespeler and Giuseppe Loiacono

Multichannel contagion and systemic stabilisation strategies in interconnected financial markets pp. 1885-1904

Antoaneta Sergueiva, V. L. Raju Chinthalapati, Thanos Verousis and Louisa Chen

Equity markets’ clustering and the global financial crisis pp. 1905-1922

Carlos León, Geun-Young Kim, Constanza Martínez and Daeyup Lee

Network reconstruction with UK CDS trade repository data pp. 1923-1932

William Abel and Laura Silvestri

Toward robust early-warning models: a horse race, ensembles and model uncertainty pp. 1933-1963

Markus Holopainen and Peter Sarlin

Dissecting the financial cycle with dynamic factor models pp. 1965-1994

Christian Menden and Christian Proaño

Sovereign risk in the Euro area: a multivariate stochastic process approach pp. 1995-2008

Paolo Giudici and Laura Parisi

Volume 17, issue 11, 2017

‘To have what they are having’: portfolio choice for mimicking mean–variance savers pp. 1645-1653

Vasyl Golosnoy and Nestor Parolya

The Production of Money: How to Break the Power of Bankers pp. 1655-1657

Diane Coyle

Calendar pp. 1659-1659

The Editors

Option pricing under short-lived arbitrage: theory and tests pp. 1661-1681

Jimmy E. Hilliard and Jitka Hilliard

Backward simulation methods for pricing American options under the CIR process pp. 1683-1695

Wenbin Hu and Junzi Zhou

Determining the integrated volatility via limit order books with multiple records pp. 1697-1714

Yiqi Liu, Qiang Liu, Zhi Liu and Deng Ding

HARA utility maximization in a Markov-switching bond–stock market pp. 1715-1733

Marcos Escobar Anel, D. Neykova and R. Zagst

On the properties of the Lambda value at risk: robustness, elicitability and consistency pp. 1735-1743

M. Burzoni, I. Peri and C. M. Ruffo

Factor pricing in commodity futures and the role of liquidity pp. 1745-1757

Terence Tai Leung Chong, Sunny Chun Tsui and Wing Chan

Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition pp. 1759-1782

Lin Zhao and Sweder van Wijnbergen

Volume 17, issue 10, 2017

FX options in target zones pp. 1477-1486

Peter Carr and Zura Kakushadze

The Undoing Project: A Friendship that Changed the World pp. 1487-1488

Andreas Kapsner

Calendar pp. 1489-1489

The Editors

Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios pp. 1491-1507

Jingnan Chen, Mark Flood and Richard B. Sowers

Bond yields and debt supply: new evidence through the lens of a preferred-habitat model pp. 1509-1522

Till Strohsal

Optimising the multilateral netting of fungible OTC derivatives pp. 1523-1534

Dominic O’Kane

Hedging efficiently under correlation pp. 1535-1547

Roberto Daluiso and Massimo Morini

On an efficient multiple time step Monte Carlo simulation of the SABR model pp. 1549-1565

Álvaro Leitao, Lech Grzelak and Cornelis Oosterlee

Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance pp. 1567-1581

Chou-Wen Wang, Sharon S. Yang and Jr-Wei Huang

A mixed C-vine copula model for hedging price and volumetric risk in wind power trading pp. 1583-1600

Anca Pircalabu and Jesper Jung

Latency and liquidity provision in a limit order book pp. 1601-1616

Julius Bonart and Martin D. Gould

Testing weak exogeneity in multiplicative error models pp. 1617-1630

Kul Luintel and Yongdeng Xu

Dynamic mean–VaR portfolio selection in continuous time pp. 1631-1643

Ke Zhou, Jiangjun Gao, Duan Li and Xiangyu Cui

Volume 17, issue 9, 2017

Assessing the effectiveness of local and global quadratic hedging under GARCH models pp. 1305-1318

Maciej Augustyniak, Frédéric Godin and Clarence Simard

Money changes everything: how finance made civilization possible pp. 1319-1322

Alexander Lipton

Calendar pp. 1323-1323

The Editors

Approximate pricing of swaptions in affine and quadratic models pp. 1325-1345

Anna Maria Gambaro, Ruggero Caldana and Gianluca Fusai

A novel Monte Carlo approach to hybrid local volatility models pp. 1347-1366

Anthonie W. van der Stoep, Lech Grzelak and Cornelis Oosterlee

A re-examination of Libor rigging: a time-varying cointegration perspective pp. 1367-1386

Chew Chua, Sandy Suardi and Yuanchen Chang

How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates pp. 1387-1401

Ally Quan Zhang and Matthias Thul

Practical Bayesian support vector regression for financial time series prediction and market condition change detection pp. 1403-1416

T. Law and J. Shawe-Taylor

Extreme risk spillover network: application to financial institutions pp. 1417-1433

Gang-Jin Wang, Chi Xie, Kaijian He and H. Eugene Stanley

Systemic risk and dynamics of contagion: a duplex inter-bank network pp. 1435-1445

Ding Ding, Liyan Han and Libo Yin

The lead–lag relationship between the spot and futures markets in China pp. 1447-1456

Donghua Wang, Jingqing Tu, Xiaohui Chang and Saiping Li

Recursive risk measures under regime switching applied to portfolio selection pp. 1457-1476

Zhiping Chen, Jia Liu and Yongchang Hui

Volume 17, issue 8, 2017

Optimal execution strategy and liquidity adjusted value-at-risk pp. 1147-1157

Yasong Jin

Optimal Mean Reversion Trading pp. 1159-1164

Henri Leowski

Calendar pp. 1165-1165

The Editors

Modified profile likelihood inference and interval forecast of the burst of financial bubbles pp. 1167-1186

V. Filimonov, Guilherme Demos and D. Sornette

Herding behaviour and volatility clustering in financial markets pp. 1187-1203

Noemi Schmitt and Frank Westerhoff

Dynamic factor long memory volatility pp. 1205-1221

Richard Harris and Anh T. H. Nguyen

An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern pp. 1223-1241

Kuang-Liang Chang and Shih-Ti Yu

No-arbitrage bounds for the forward smile given marginals pp. 1243-1256

Sergey Badikov, Antoine Jacquier, Daphne Qing Liu and Patrick Roome

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model pp. 1257-1275

Maria Recchioni, Yu Sun and Gabriele Tedeschi

Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis pp. 1277-1304

Hui ‘Fox’ Ling and Christian Franzen

Volume 17, issue 7, 2017

Examining the profitability of automatic trading strategies with a focus on trend indicators pp. 979-991

Erhard Reschenhofer and Thomas Sinkovics

Option Valuation under Stochastic Volatility II: With Mathematica Code pp. 993-995

David Pottinton

Calendar pp. 997-997

The Editors

The role of volume in order book dynamics: a multivariate Hawkes process analysis pp. 999-1020

Marcello Rambaldi, Emmanuel Bacry and Fabrizio Lillo

The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data pp. 1021-1035

Nick Taylor and Yongdeng Xu

Optimal portfolio positioning within generalized Johnson distributions pp. 1037-1055

N. Naguez and Jean-Luc Prigent

Last look pp. 1057-1070

Roel Oomen

A structural framework for modelling contingent capital pp. 1071-1088

J. Li, A. Metzler and R. M. Reesor

Online Kernel estimation of stationary stochastic diffusion models pp. 1089-1103

Xin Wang

Algebraic structure of vector fields in financial diffusion models and its applications pp. 1105-1117

Yusuke Morimoto and Makiko Sasada

An analytical approximation for pricing VWAP options pp. 1119-1133

Hideharu Funahashi and Masaaki Kijima

Credibilistic risk aversion pp. 1135-1145

Yuanyuan Liu, Jian Zhou and Athanasios A. Pantelous

Volume 17, issue 6, 2017

CoCo bonds and implied CET1 volatility pp. 813-824

Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens

Stochastic Volatility Modeling pp. 825-828

Julien Guyon

Calendar pp. 829-829

The Editors

Quasi-centralized limit order books pp. 831-853

Martin D. Gould, Mason A. Porter and Sam D. Howison

Pricing via recursive quantization in stochastic volatility models pp. 855-872

Giorgia Callegaro, Lucio Fiorin and Martino Grasselli

Geometric Asian option pricing in general affine stochastic volatility models with jumps pp. 873-888

Friedrich Hubalek, Martin Keller-Ressel and Carlo Sgarra

Efficient willow tree method for European-style and American-style moving average barrier options pricing pp. 889-906

Ling Lu, Wei Xu and Zhehui Qian

Calibrating a market model with stochastic volatility to commodity and interest rate risk pp. 907-925

P. Karlsson, K. F. Pilz and Erik Schlogl

A joint model for temperature and natural gas with an application to the US market pp. 927-941

Roberto Baviera and Teodoro Federico Mainetti

The shape of small sample biases in pricing kernel estimations pp. 943-958

Dietmar P. J. Leisen

Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies pp. 959-977

Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette

Volume 17, issue 5, 2017

Birth or burst of financial bubbles: which one is easier to diagnose? pp. 657-675

Guilherme Demos and D. Sornette

Asset Management: A Systematic Approach to Factor Investing pp. 677-680

Riccardo Rebonato

Calendar pp. 681-681

The Editors

Modelling intensities of order flows in a limit order book pp. 683-701

Ioane Muni Toke and Nakahiro Yoshida

Model-based pairs trading in the bitcoin markets pp. 703-716

P. S. Lintilhac and A. Tourin

Low-latency liquidity inefficiency strategies pp. 717-727

Christian Oesch and Dietmar Maringer

Tail-risk protection trading strategies pp. 729-744

N. Packham, J. Papenbrock, P. Schwendner and F. Woebbeking

The dynamics of leveraged ETFs returns: a panel data study pp. 745-761

Antoine Giannetti

Binary switch portfolio pp. 763-780

Tengfei Li, Kani Chen, Yang Feng and Zhiliang Ying

Interacting default intensity with a hidden Markov process pp. 781-794

Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu and Tak Kuen Siu

Predictability of structural co-movement in commodity prices: the role of technical indicators pp. 795-812

Libo Yin, Qingyuan Yang and Zhi Su

Volume 17, issue 4, 2017

Penalizing variances for higher dependency on factors pp. 479-489

Jang Ho Kim, Woo Chang Kim and Frank Fabozzi

Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling pp. 491-494

Jean Czerlinski Whitmore

Calendar pp. 495-495

The Editors

Pricing options on mean reverting underliers pp. 497-513

Dilip B. Madan

The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments pp. 515-529

Simon Ellersgaard, Martin Jönsson and Rolf Poulsen

Pricing and hedging contingent claims using variance and higher order moment swaps pp. 531-550

Leonidas Rompolis and Elias Tzavalis

Arithmetic variance swaps pp. 551-569

Stamatis Leontsinis and Carol Alexander

An estimation procedure for the Hawkes process pp. 571-595

Matthias Kirchner

Risk-based capital for credit insurers with business cycles and dynamic leverage pp. 597-612

Issouf Soumaré and Ernest Tafolong

Identification and critical time forecasting of real estate bubbles in the USA pp. 613-631

Diego Ardila, Dorsa Sanadgol, Peter Cauwels and Didier Sornette

Systemic risk in the European sovereign and banking system pp. 633-656

Simon Xu, Francis In, Catherine Forbes and Inchang Hwang

Volume 17, issue 3, 2017

Optimal portfolios with downside risk pp. 315-325

Fima Klebaner, Zinoviy Landsman, Udi Makov and Jing Yao

A Random Walk Down Wall Street: The Time-Tested Strategy For Successful Investing pp. 327-330

Antonios Sangvinatsos

Call for Papers: Special Issue on “Hawkes Processes in Finance” pp. 331-331

The Editors

Calendar pp. 333-333

The Editors

The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management pp. 335-351

Duy-Minh Dang, P. A. Forsyth and K. R. Vetzal

Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms pp. 353-367

N. Grishina, C. A. Lucas and P. Date

Forecasting trends with asset prices pp. 369-382

Ahmed Bel Hadj Ayed, Grégoire Loeper and Frédéric Abergel

Execution in an aggregator pp. 383-404

Roel Oomen

Time series momentum and moving average trading rules pp. 405-421

Ben Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti

24-Hour realized volatilities and transatlantic volatility interdependence pp. 423-435

Robert Maderitsch

A new time-varying optimal copula model identifying the dependence across markets pp. 437-453

Bing-Yue Liu, Qiang Ji and Ying Fan

Rollover risk and credit risk under time-varying margin pp. 455-469

Xuezhong (Tony) He, Eva Lütkebohmert and Yajun Xiao

Risk based capital for guaranteed minimum withdrawal benefit pp. 471-478

Runhuan Feng and Jan Vecer

Volume 17, issue 2, 2017

Call option compensation and managers’ intertemporal risk-taking behaviour pp. 157-164

Katarzyna Romaniuk

Phishing for Phools: The Economics of Manipulation & Deception pp. 165-167

Taylor Spears

Calendar pp. 169-169

The Editors

Quadratic Hawkes processes for financial prices pp. 171-188

P. Blanc, J. Donier and J.-P. Bouchaud

Short-time at-the-money skew and rough fractional volatility pp. 189-198

Masaaki Fukasawa

Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility pp. 199-215

Richard Gerlach, Declan Walpole and Chao Wang

Profiling high-frequency equity price movements in directional changes pp. 217-225

Edward P. K. Tsang, Ran Tao, Antoaneta Serguieva and Shuai Ma

Double-jump diffusion model for VIX: evidence from VVIX pp. 227-240

Xin Zang, Jun Ni, Jingzhi Huang and Lan Wu

Optimal investment under multi-factor stochastic volatility pp. 241-260

Marcos Escobar Anel, Sebastian Ferrando and Alexey Rubtsov

Estimating discrete dividends by no-arbitrage pp. 261-274

Sascha Desmettre, Sarah Grün and Frank Thomas Seifried

Alternative to beta coefficients in the context of diffusions pp. 275-288

Guillaume Bernis and Simone Scotti

Transitions in the stock markets of the US, UK and Germany pp. 289-297

Matthias Raddant and Friedrich Wagner

Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market pp. 299-313

Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi

Volume 17, issue 1, 2017

Risk premia: asymmetric tail risks and excess returns pp. 1-14

Y. Lempérière, C. Deremble, T. T. Nguyen, P. Seager, M. Potters and J. P. Bouchaud

Behavioral Risk Management pp. 15-18

Riccardo Rebonato

Calendar pp. 19-19

The Editors

Optimal order placement in limit order markets pp. 21-39

Rama Cont and Arseniy Kukanov

Optimal execution with non-linear transient market impact pp. 41-54

Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo

Optimal execution with uncertain order fills in Almgren–Chriss framework pp. 55-69

Xue Cheng, Marina Di Giacinto and Tai-Ho Wang

A behavioural model of investor sentiment in limit order markets pp. 71-86

Carl Chiarella, Xuezhong (Tony) He, Lei Shi and Lijian Wei

Intraday pairs trading strategies on high frequency data: the case of oil companies pp. 87-100

Bo Liu, Lo-Bin Chang and Hélyette Geman

Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information pp. 101-120

Mattia Montagna and Thomas Lux

Risk forecasting in (T)GARCH models with uncorrelated dependent innovations pp. 121-137

Benjamin Beckers, Helmut Herwartz and Moritz Seidel

Smooth nonparametric Bernstein vine copulas pp. 139-156

Marcus Scheffer and Gregor N. F. Weiß